A Two-Factor Model of the German Term Structure of Interest Rates

N. Cassola and Jorge Luis ()

Working Papers from Quebec a Montreal - Recherche en gestion

Abstract: In this paper we show that a two-factor constant volatility model provides an adequate description of the dynamics and shape of the German term structure of interest rates from 1972 up to 1998.

Keywords: EXPECTATIONS; PRICING; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Pages: 62 pages
Date: 2001
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Citations: View citations in EconPapers (3)

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Working Paper: A two-factor model of the German term structure of interest rates (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:uqamge:46

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